On the probability of hitting the boundary for brownian motions on the SABR plane

Keyphrases

• Brownian Motion 100%
• Hyperbolic Brownian Motion 100%
• Probabilistic Model 50%
• Time Change 50%
• Geometry Preserving 50%
• Mathematical Finance 50%
• Time-changed Brownian Motion 50%
• SABR Model 50%
• Mass Drift 50%
• Motion Density 50%
• Density Probability 50%

Mathematics

• Probability Theory 100%
• Brownian Motion 100%
• Preserving Transformation 25%
• Time Change 25%
• probability density ρ 25%
• Mathematical Finance 25%
• Explicit Expression 25%
• Main Result 25%